Update documentation for initialize_interpreter (#1584)

Add a detailed link to Python 3 documentation.  Add a caveat about
the program terminating if initializing the interpreter fails.

include/pybind11/embed.h

diff --git a/include/pybind11/embed.h b/include/pybind11/embed.h
index 9abc61c..7265588 100644
--- a/include/pybind11/embed.h
+++ b/include/pybind11/embed.h
@@ -90,8 +90,14 @@
     Initialize the Python interpreter. No other pybind11 or CPython API functions can be
     called before this is done; with the exception of `PYBIND11_EMBEDDED_MODULE`. The
     optional parameter can be used to skip the registration of signal handlers (see the
-    Python documentation for details). Calling this function again after the interpreter
+    `Python documentation`_ for details). Calling this function again after the interpreter
     has already been initialized is a fatal error.
+
+    If initializing the Python interpreter fails, then the program is terminated.  (This
+    is controlled by the CPython runtime and is an exception to pybind11's normal behavior
+    of throwing exceptions on errors.)
+
+    .. _Python documentation: https://docs.python.org/3/c-api/init.html#c.Py_InitializeEx
  \endrst */
 inline void initialize_interpreter(bool init_signal_handlers = true) {
     if (Py_IsInitialized())